def test_create_portfolio_needs_balancing3(self):
exchange = DummyExchange(self.targets.keys(), self.balances)
portfolio = Portfolio.make_portfolio(self.targets2,
exchange,
threshold=20)
self.assertFalse(portfolio.needs_balancing)
def test_base_differences_start_xrp_xlm_usdt_rates(self):
targets = {
'XRP': 50,
'XLM': 40,
'USDT': 10,
}
current = {
'XRP': 100,
'XLM': 100,
'USDT': 50,
}
rates = {
'XRP/USDT': 0.1,
'XLM/USDT': 0.4,
}
exchange = DummyExchange(targets.keys(), current, rates)
portfolio = Portfolio.make_portfolio(targets, exchange)
expected = {
'XRP': 40,
'XLM': 0,
'USDT': -40,
}
self.assertEqual(portfolio.differences_quote, expected)
def test_run_trade(self):
targets = {
'XRP': 45,
'XLM': 45,
'USDT': 10,
}
current = {'XRP': 400, 'XLM': 400, 'USDT': 200}
rates = {
'XRP/USDT': 1.0,
'XLM/USDT': 1.0,
'XLM/XRP': 1.0,
}
exchange = DummyExchange(targets.keys(), current, rates, 0.001)
portfolio = Portfolio.make_portfolio(targets, exchange)
balancer = SimpleBalancer()
executor = Executor(portfolio, exchange, balancer)
res = executor.run(force=True, trade=True)
# Test the orders we get are correct
expected = [
Order('XLM/USDT', 'BUY', 50, 1.0),
Order('XRP/USDT', 'BUY', 50, 1.0),
]
self.assertEqual(res['orders'], expected)
self.assertEqual(exchange.balances['XRP'], 449.95)
self.assertEqual(exchange.balances['XLM'], 449.95)
self.assertEqual(exchange.balances['USDT'], 100)
def test_create_portfolio_defaults(self):
exchange = DummyExchange(self.targets.keys(), self.targets)
portfolio = Portfolio.make_portfolio(self.targets, exchange)
self.assertEqual(portfolio.threshold, 1.0)
self.assertEqual(portfolio.quote_currency, 'USDT')
self.assertEqual(portfolio.exchange, exchange)
self.assertEqual(portfolio.targets, self.targets)
def test_create_portfolio_custom(self):
exchange = DummyExchange(self.targets.keys(), self.targets)
portfolio = Portfolio.make_portfolio(self.targets, exchange, 2.0,
'BTC')
self.assertEqual(portfolio.threshold, 2.0)
self.assertEqual(portfolio.quote_currency, 'BTC')
self.assertEqual(portfolio.exchange, exchange)
self.assertEqual(portfolio.targets, self.targets)
def test_create_portfolio_differences_quote2(self):
exchange = DummyExchange(self.targets.keys(), self.balances)
portfolio = Portfolio.make_portfolio(self.targets2, exchange)
expected = {
'XRP': -50,
'XLM': -50,
'USDT': 100,
}
self.assertEqual(portfolio.differences_quote, expected)
def execute(self,
targets,
current,
rates,
fee=0.001,
max_orders=5,
mode='mid'):
exchange = DummyExchange(targets.keys(), current, rates, fee)
portfolio = Portfolio.make_portfolio(targets, exchange)
balancer = SimpleBalancer()
return balancer.balance(portfolio,
exchange,
max_orders=max_orders,
mode=mode)
def test_base_differences_start_xrp_xlm_usdt_rates3(self):
targets = {
'XRP': 45,
'XLM': 45,
'USDT': 10,
}
current = {
'XRP': 40,
'XLM': 40,
'USDT': 20,
}
rates = {
'XRP/USDT': 0.5,
'XLM/USDT': 0.5,
'USDT/USDT': 1.0,
}
exchange = DummyExchange(targets.keys(), current, rates)
portfolio = Portfolio.make_portfolio(targets, exchange)
expected = {
'XRP': 7,
'XLM': 7,
'USDT': -14,
}
self.assertEqual(portfolio.differences_quote, expected)
final_base = {}
final_targets = {}
total_base = 0
for cur in current:
symbol = "{}/{}".format(cur, portfolio.quote_currency)
final_base[cur] = current[cur] * exchange.rates[symbol]['mid']
final_base[cur] += portfolio.differences_quote[cur]
total_base += final_base[cur]
for cur in final_base:
final_targets[cur] = (final_base[cur] / total_base) * 100
self.assertEqual(targets, final_targets)
def create_executor(self, targets, current, rates, fee=0.001):
exchange = DummyExchange(targets.keys(), current, rates, fee)
portfolio = Portfolio.make_portfolio(targets, exchange)
balancer = SimpleBalancer()
executor = Executor(portfolio, exchange, balancer)
return executor
def test_create_portfolio_needs_balancing2(self):
exchange = DummyExchange(self.targets.keys(), self.balances)
portfolio = Portfolio.make_portfolio(self.targets2, exchange)
self.assertTrue(portfolio.needs_balancing)
def test_create_portfolio_metric_zero(self):
exchange = DummyExchange(self.targets.keys(), self.zero_balances)
portfolio = Portfolio.make_portfolio(self.targets, exchange)
self.assertEqual(portfolio.balance_rms_error, 0)
def test_create_portfolio_metric2(self):
exchange = DummyExchange(self.targets.keys(), self.balances)
portfolio = Portfolio.make_portfolio(self.targets2, exchange)
self.assertAlmostEqual(portfolio.balance_rms_error, 7.071067, 5)
def test_create_portfolio_balances_pct_zero(self):
exchange = DummyExchange(self.targets.keys(), self.zero_balances)
portfolio = Portfolio.make_portfolio(self.targets, exchange)
self.assertEqual(portfolio.balances_pct, self.zero_balances)
self.assertNotEqual(portfolio.balances_pct, self.targets)
def test_create_portfolio_valuation_quote(self):
exchange = DummyExchange(self.targets.keys(), self.balances)
portfolio = Portfolio.make_portfolio(self.targets, exchange)
self.assertEqual(portfolio.valuation_quote, 1000)
def setUp(self):
balances = {'XRP': 100.0, 'BTC': 200.0, 'USDT': 300.0}
rates = {'XRP/USDT': 0.33, 'BTC/USDT': 3500.0}
self.exchange = DummyExchange(balances.keys(), balances, rates)
class test_DummyExchange(unittest.TestCase):
def setUp(self):
balances = {'XRP': 100.0, 'BTC': 200.0, 'USDT': 300.0}
rates = {'XRP/USDT': 0.33, 'BTC/USDT': 3500.0}
self.exchange = DummyExchange(balances.keys(), balances, rates)
def test_balances(self):
self.assertEqual(self.exchange.balances['XRP'], 100)
self.assertEqual(self.exchange.balances['BTC'], 200)
self.assertEqual(self.exchange.balances['USDT'], 300)
def test_pairs(self):
expected = [
'XRP/XRP', 'XRP/BTC', 'XRP/USDT', 'BTC/XRP', 'BTC/BTC', 'BTC/USDT',
'USDT/XRP', 'USDT/BTC', 'USDT/USDT'
]
self.assertEqual(self.exchange.pairs, expected)
def test_execute_buy(self):
order = Order('XRP/USDT', 'BUY', 10, 0.32)
self.exchange.execute_order(order)
self.assertEqual(self.exchange.balances['XRP'], 109.99)
self.assertEqual(self.exchange.balances['BTC'], 200.0)
self.assertEqual(self.exchange.balances['USDT'], 296.8)
def test_execute_sell(self):
order = Order('BTC/USDT', 'SELL', 0.01, 3500)
self.exchange.execute_order(order)
self.assertEqual(self.exchange.balances['XRP'], 100.00)
self.assertEqual(self.exchange.balances['BTC'], 199.99)
self.assertEqual(self.exchange.balances['USDT'], 334.965)
def test_execute_buy_toomuch1(self):
order = Order('XRP/USDT', 'BUY', 1000, 0.32)
with self.assertRaises(ValueError):
self.exchange.execute_order(order)
def test_execute_sell_toomuch2(self):
order = Order('BTC/USDT', 'SELL', 1000, 3500)
with self.assertRaises(ValueError):
self.exchange.execute_order(order)
def test_preprocess_order_true(self):
order = Order('XRP/USDT', 'BUY', 50, 0.32)
self.assertEqual(self.exchange.preprocess_order(order), order)
def test_preprocess_order_false(self):
order = Order('XRP/USDT', 'BUY', 0.1, 0.32)
self.assertIsNone(self.exchange.preprocess_order(order))
def test_preprocess_order_bad(self):
order = Order('ZEC/USDT', 'BUY', 10, 0.32)
self.assertIsNone(self.exchange.preprocess_order(order))
